Question: Exercise 9.10.6. Let y1, y2, , yn be i.i.d. N(X , ), where nn is unknown. Show that the maximum likelihood estimate

Exercise 9.10.6. Let y1, y2, · · · , yn be i.i.d. N(Xβ ,Σ ), where Σn×n is unknown.

Show that the maximum likelihood estimate of Xβ is X ˆβ = X(XE−1X)

−XE−1 ¯ y· .

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